Systematic US Equities Investing

i have plently of fundamental data.

i was curious where your friend got his data, as some of the databases suffer from survivorship and look ahead bias. . .
 
I have no clue where my friend may have gotten the data from.

As for the model, all positions were closed off at 2.30PM EST. The results for the month of February:

Rank 1-10: +3.1%
Rank 1-20: -2.12%
S&P 500: +0.33%
NASDAQ: -0.86%
DOW: +1.49%

So Rank 1-10 easily beating the benchmarks, while Rank 1-20 did miserably after realistic fills/slippage/commissions.

Lets see what the second month holds. Will post the list over the weekend.
 
Quote from mahras2:

I have no clue where my friend may have gotten the data from.

As for the model, all positions were closed off at 2.30PM EST. The results for the month of February:

Rank 1-10: +3.1%
Rank 1-20: -2.12%
S&P 500: +0.33%
NASDAQ: -0.86%
DOW: +1.49%

So Rank 1-10 easily beating the benchmarks, while Rank 1-20 did miserably after realistic fills/slippage/commissions.

Lets see what the second month holds. Will post the list over the weekend.
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Very nice results on rank 1-10. Do you often see such difference in monthly return between rank 1-10 and rank 1-20?
 
Quote from mc107:

Very nice results on rank 1-10. Do you often see such difference in monthly return between rank 1-10 and rank 1-20?
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Thanks.

No typically you do not see such a large difference between the results. But as a rule of thumb Rank 1-10 will outperform Ranks 1-20 (49% annualized vs 41%).

Rank 1-10 for the month of March:

PBR
URI
TLAB
AH
CMCO
AOS
AP
OATS
IM
FTO
 
Quote from mahras2:

Thanks.

No typically you do not see such a large difference between the results. But as a rule of thumb Rank 1-10 will outperform Ranks 1-20 (49% annualized vs 41%).

Rank 1-10 for the month of March:

PBR
URI
TLAB
AH
CMCO
AOS
AP
OATS
IM
FTO
More...

sorry if question is redundent but I assume you are putting equal $ amts vs. equal shares? Thanks donna...BTW very interesting thx
 
I don't recall if you already mentioned it, but I guess you're not using any stops.
Quote from mahras2:

Welcome. Yes equal dollar amounts for every pick.
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No at this moment I do not set any stops. However, cat stops approximately 25% away from price doesnt seem to have any harmful affect on the performance of the system.
 
Maybe you should backtest using an allocation based on the historical volatility of each equity on your list.
Quote from mahras2:

Welcome. Yes equal dollar amounts for every pick.
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